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Impact Of Crises On Indian Financial Markets

Author

Listed:
  • Pami Dua

    (Delhi School of Economics, India)

  • Divya Tuteja

    (Indian Institute of Foreign Trade, India)

Abstract

We investigate the effect of crises on Indian financial markets including the shortterm and medium-term money, government securities segments, equity and currency markets. Specifically, we study the effects of the COVID-19 pandemic, the Eurozone Sovereign Debt Crisis and the Global Financial Crisis on market returns, volatility and cross-correlations. We employ a (a) vector autoregressive model to analyse the effects of those shocks on returns and (b) multivariate ADCC-GARCH specification to examine the impact on conditional volatility and dynamic conditional correlation in the markets. We find significant effect of the Global Financial Crisis and the pandemic on the dynamics of the Indian financial markets.

Suggested Citation

  • Pami Dua & Divya Tuteja, 2024. "Impact Of Crises On Indian Financial Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(3), pages 557-572, July.
    • Handle: RePEc:idn:journl:v:27:y:2024:i:3g:p:557-572
    DOI: https://doi.org/10.59091/2460-9196.2284
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Financial markets; India; COVID-19 pandemic; Eurozone debt crisis; Global financial crisis;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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